| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2021-04-09 | 2021-04-09 |
| Time Elapsed | 21 years, 3 months | 21 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $238,751.51 | $393,468.16 |
| CAGR % | 4.18% | 6.65% |
| Max % Drawdown | (60.11%) | (14.90%) |
| Standard Deviation | 4.82% | 1.94% |
| Annualized Sharpe | 0.15 | 0.55 |
| MAR Ratio | 0.07 | 0.45 |
| Win Rate % | 0.0% | 47.7% |
| Avg Win / Loss Ratio | — | 3.17 |
| Expectancy | — | $0.99 |
| Avg Win % | 0.00% | 4.20% |
| Avg Loss % | 0.00% | (0.95%) |
| Longest Drawdown Duration | 75.7 months | 30.5 months |
| Avg Trades Per Year | 0.00 | 4.04 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $238,751.51 | $393,468.16 |
| Open Equity | $138,751.51 | $61,985.63 |
| Gross Profit | $0.00 | $335,684.24 |
| Gross Loss | $0.00 | ($116,266.12) |
| Net Profit | $0.00 | $219,418.12 |
| Net Long Profit | $0.00 | $219,418.12 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | — | 100.0% |
| Net Short Profit as % of Net Profit | — | 0.0% |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $0.00 | $12,064.42 |
| Margin Interest | $0.00 | $0.00 |
| Total Slippage | $0.00 | $0.00 |
| Total Forex Carry | $0.00 | $0.00 |
| Total Commissions | $0.00 | $0.00 |
| Expenses | ||
|---|---|---|
| Model | Benchmark | |
| Margin Interest | $0.00 | $0.00 |
| Total Commissions | $0.00 | $0.00 |
| Round Turns | 0.0 | 896.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.07 | 0.45 |
| Calmar Ratio | 0.07 | 0.61 |
| Modified Sharpe Ratio | 0.33 | 0.99 |
| Robust Sharpe Ratio | 0.32 | 0.92 |
| R-Squared | 0.7680 | 0.9112 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 4.18% | 6.65% |
| RAR | 5.30% | 6.17% |
| Profit Factor | 0.00 | 2.89 |
| Percent Profit Factor | 0.00 | 4.02 |
| Expectancy | — | $0.99 |
| Percentage Expectancy | 0.00 | 0.08 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (60.11%) | (14.90%) |
| Longest Drawdown Duration | 75.7 months | 30.5 months |
| Max Monthly % Drawdown | (56.36%) | (10.84%) |
| Avg of Top-5 Max % Drawdowns | (37.52%) | (10.71%) |
| Avg Duration of Top-5 Longest Drawdowns | 39.4 months | 21.0 months |
| Avg of All % Drawdowns | (3.59%) | (1.35%) |
| Std Dev of All % Drawdowns | 9.23% | 2.13% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | (8.54%) |
| Closed-Equity Max Monthly % Drawdown | 0.00% | (8.54%) |
| Closed-Equity Avg of All % Drawdown | 0.00% | (2.92%) |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 2.40% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 47.7% |
| Lose Rate % | 0.0% | 52.3% |
| Winning Trades | 0 | 41 |
| Losing Trades | 0 | 45 |
| Total Trades | 0 | 86 |
| Max Consecutive Wins | 0 | 6 |
| Max Consecutive Losses | 0 | 8 |
| Avg Trade Duration | 0.0 days | 299.1 days |
| Avg Winning Trade Duration | 0.0 days | 538.8 days |
| Avg Losing Trade Duration | 0.0 days | 80.8 days |
| Largest Winning Trade | $0.00 | $35,849.10 |
| Largest Losing Trade | $0.00 | ($9,079.40) |
| Largest Win as % of Net Profit | — | 16.34% |
| Avg Win | $0.00 | $8,187.42 |
| Avg Loss | $0.00 | ($2,583.69) |
| Avg Win / Loss Ratio | — | 3.17 |
| Avg Trade | $0.00 | $2,551.37 |
| Avg Win % | 0.00% | 4.20% |
| Avg Loss % | 0.00% | (0.95%) |
| Avg Trade % | 0.00% | 1.50% |
| Avg Risk % | 0.00% | (18.01%) |
| Avg Trades Per Year | 0.00 | 4.04 |
| Avg Trades Per Month | 0.00 | 0.34 |
| Avg Trades Per Day | 0.00 | 0.01 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 57.4% | 66.8% |
| Losing Months % | 42.6% | 33.2% |
| Winning Months | 147 | 171 |
| Losing Months | 109 | 85 |
| Total Months | 256 | 256 |
| Max Consecutive Winning Months | 13 | 11 |
| Max Consecutive Losing Months | 6 | 4 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 63.6% | 86.4% |
| Losing Years % | 36.4% | 13.6% |
| Winning Years | 14 | 19 |
| Losing Years | 8 | 3 |
| Total Years | 22 | 22 |
| Max Consecutive Winning Years | 5 | 8 |
| Max Consecutive Losing Years | 3 | 1 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 58.7% | 66.5% |
| Rolling 6-Month Win Rate | 62.2% | 75.3% |
| Rolling 12-Month Win Rate | 60.4% | 77.6% |
| Rolling 3-Year Win Rate | 70.0% | 100.0% |
| Rolling 5-Year Win Rate | 83.3% | 100.0% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 254 | 254 |
| Rolling 6-Month Periods | 251 | 251 |
| Rolling 12-Month Periods | 245 | 245 |
| Rolling 3-Year Periods | 20 | 20 |
| Rolling 5-Year Periods | 18 | 18 |
| Rolling 10-Year Periods | 13 | 13 |
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